Strictly speaking that isn't quite the same as a degree symbol, and will look wrong in many fonts (in some an 'o' won't be a perfect circle, it may not be in the right place etc...).
I haven't got a Windows machine handy to test on (I'm assuming you are?) as it will be operating-system dependent, but you could try Alt+176 (holding Alt on the keyboard, press 0176 _on the numeric keypad_, not the normal number keys). It might be AltGr instead.
If you were really pedantic you could copy-paste the combined Unicode degree-celcius symbol ? which should have better kerning if it appears in a font you have than a degree symbol and separate capital C